Trying to connect to a VPN failed while running behind my OpenWRT router (Chaos Calmer) from a Windows LAN client.

Adding the following software package to the router resolved the issue;

kmod-nf-nathelper-extra

The original error was;

806: The VPN connection between your computer and the VPN server could not be completed. The most common cause for this failure is that at least one Internet device (for example, a firewall or a router) between your computer and the VPN server is not configured to allow Generic Routing Encapsulation (GRE) protocol packets. If the problem persists, contact your network administrator or Internet Service Provider.